02/21/2024 | Press release | Distributed by Public on 02/21/2024 16:21
February 16, 2024
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Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2)
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JPMorgan Chase Financial Company LLC
Structured Investments
$1,598,000
Callable Contingent Interest Notes Linked to the Least
Performing of the Russell 2000® Index, the S&P 500®
Index and the SPDR® S&P® Regional Banking ETF
due November 20, 2025
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
●The notes are designed for investors who seek a Contingent Interest Payment with respect to each Review Date for which the
closing value of each of the Russell 2000® Index, the S&P 500® Index and the SPDR® S&P® Regional Banking ETF, which we
refer to as the Underlyings, is greater than or equal to 70.00% of its Initial Value, which we refer to as an Interest Barrier.
●The notes may be redeemed early, in whole but not in part, at our option on any of the Interest Payment Dates (other than the
first, second, third, fourth, fifth and final Interest Payment Dates).
●The earliest date on which the notes may be redeemed early is August 21, 2024.
●Investors should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent Interest
Payment may be made with respect to some or all Review Dates.
●Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive
Contingent Interest Payments.
●The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as
JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment
on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of
JPMorgan Chase & Co., as guarantor of the notes.
●Payments on the notes are not linked to a basket composed of the Underlyings. Payments on the notes are linked to the
performance of each of the Underlyings individually, as described below.
●Minimum denominations of $1,000 and integral multiples thereof
●The notes priced on February 16, 2024 and are expected to settle on or about February 22, 2024.
●CUSIP: 48134WLD7
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Price to Public (1)
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Fees and Commissions (2)
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Proceeds to Issuer
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Per note
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$1,000
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$7.1960
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$992.8040
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Total
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$1,598,000
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$11,499.25
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$1,586,500.75
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(1) See "Supplemental Use of Proceeds" in this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it
receives from us to other affiliated or unaffiliated dealers. These selling commissions will vary and will be up to $7.25 per $1,000 principal
amount note. See "Plan of Distribution (Conflicts of Interest)" in the accompanying product supplement.
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Issuer: JPMorgan Chase Financial Company LLC, an indirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Underlyings:The Russell 2000® Index (Bloomberg ticker: RTY)
and the S&P 500® Index (Bloomberg ticker: SPX) (each an
"Index" and collectively, the "Indices") and the SPDR® S&P®
Regional Banking ETF (Bloomberg ticker: KRE) (the "Fund")
(each of the Indices and the Fund, an "Underlying" and
collectively, the "Underlyings")
Contingent Interest Payments:
If the notes have not been previously redeemed early and the
closing value of each Underlying on any Review Date is greater
than or equal to its Interest Barrier, you will receive on the
applicable Interest Payment Date for each $1,000 principal
amount note a Contingent Interest Payment equal to $10.9167
(equivalent to a Contingent Interest Rate of 13.10% per annum,
payable at a rate of 1.09167% per month).
If the closing value of any Underlying on any Review Date is
less than its Interest Barrier, no Contingent Interest Payment will
be made with respect to that Review Date.
Contingent Interest Rate: 13.10% per annum, payable at a
rate of 1.09167% per month
Interest Barrier:With respect to each Underlying, 70.00% of its
Initial Value, which is 1,422.9208 for the Russell 2000® Index,
3,503.899 for the S&P 500® Index and $34.097 for the SPDR®
S&P® Regional Banking ETF
Trigger Value:With respect to each Underlying, 60.00% of its
Initial Value, which is 1,219.6464 for the Russell 2000® Index,
3,003.342 for the S&P 500® Index and $29.226 for the SPDR®
S&P® Regional Banking ETF
Pricing Date: February 16, 2024
Original Issue Date (Settlement Date): On or about February
22, 2024
Review Dates*: March 18, 2024, April 16, 2024, May 16, 2024,
June 17, 2024, July 16, 2024, August 16, 2024, September 16,
2024, October 16, 2024, November 18, 2024, December 16,
2024, January 16, 2025, February 18, 2025, March 17, 2025,
April 16, 2025, May 16, 2025, June 16, 2025, July 16, 2025,
August 18, 2025, September 16, 2025, October 16, 2025 and
November 17, 2025 (the "final Review Date")
Interest Payment Dates*: March 21, 2024, April 19, 2024, May
21, 2024, June 21, 2024, July 19, 2024, August 21, 2024,
September 19, 2024, October 21, 2024, November 21, 2024,
December 19, 2024, January 22, 2025, February 21, 2025,
March 20, 2025, April 22, 2025, May 21, 2025, June 20, 2025,
July 21, 2025, August 21, 2025, September 19, 2025, October
21, 2025 and the Maturity Date
Maturity Date*: November 20, 2025
*Subject to postponement in the event of a market disruption event and
as described under "General Terms of Notes - Postponement of a
Determination Date - Notes Linked to Multiple Underlyings" and
"General Terms of Notes - Postponement of a Payment Date" in the
accompanying product supplement
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Early Redemption:
We, at our election, may redeem the notes early, in whole but
not in part, on any of the Interest Payment Dates (other than the
first, second, third, fourth, fifth and final Interest Payment Dates)
at a price, for each $1,000 principal amount note, equal to (a)
$1,000 plus (b) the Contingent Interest Payment, if any,
applicable to the immediately preceding Review Date. If we
intend to redeem your notes early, we will deliver notice to The
Depository Trust Company, or DTC, at least three business days
before the applicable Interest Payment Date on which the notes
are redeemed early.
Payment at Maturity:
If the notes have not been redeemed early and the Final Value
of each Underlying is greater than or equal to its Trigger Value,
you will receive a cash payment at maturity, for each $1,000
principal amount note, equal to (a) $1,000 plus (b) the
Contingent Interest Payment, if any, applicable to the final
Review Date.
If the notes have not been redeemed early and the Final Value
of any Underlying is less than its Trigger Value, your payment at
maturity per $1,000 principal amount note will be calculated as
follows:
$1,000 + ($1,000 × Least Performing Underlying Return)
If the notes have not been redeemed early and the Final Value
of any Underlying is less than its Trigger Value, you will lose
more than 40.00% of your principal amount at maturity and
could lose all of your principal amount at maturity.
Least Performing Underlying: The Underlying with the Least
Performing Underlying Return
Least Performing Underlying Return:The lowest of the
Underlying Returns of the Underlyings
Underlying Return:
With respect to each Underlying,
(Final Value - Initial Value)
Initial Value
Initial Value:With respect to each Underlying, the closing value
of that Underlying on the Pricing Date, which was 2,032.744 for
the Russell 2000® Index, 5,005.57 for the S&P 500® Index and
$48.71 for the SPDR® S&P® Regional Banking ETF
Final Value: With respect to each Underlying, the closing value
of that Underlying on the final Review Date
Share Adjustment Factor: The Share Adjustment Factor is
referenced in determining the closing value of the Fund and is
set equal to 1.0 on the Pricing Date. The Share Adjustment
Factor is subject to adjustment upon the occurrence of certain
events affecting the Fund. See "The Underlyings - Funds -
Anti-Dilution Adjustments" in the accompanying product
supplement for further information.
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PS-1 | Structured Investments
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Callable Contingent Interest Notes Linked to the Least Performing of the
Russell 2000® Index, the S&P 500® Index and the SPDR® S&P® Regional
Banking ETF
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PS-2 | Structured Investments
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Callable Contingent Interest Notes Linked to the Least Performing of the
Russell 2000® Index, the S&P 500® Index and the SPDR® S&P® Regional
Banking ETF
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Number of Contingent
Interest Payments
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Total Contingent Interest
Payments
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21
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$229.2500
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20
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$218.3333
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19
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$207.4167
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18
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$196.5000
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17
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$185.5833
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16
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$174.6667
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15
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$163.7500
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14
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$152.8333
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13
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$141.9167
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12
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$131.0000
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11
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$120.0833
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10
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$109.1667
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9
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$98.2500
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8
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$87.3333
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7
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$76.4167
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6
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$65.5000
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5
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$54.5833
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4
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$43.6667
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3
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$32.7500
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2
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$21.8333
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1
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$10.9167
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0
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$0.0000
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PS-3 | Structured Investments
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Callable Contingent Interest Notes Linked to the Least Performing of the
Russell 2000® Index, the S&P 500® Index and the SPDR® S&P® Regional
Banking ETF
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Date
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Closing Value of Least
Performing Underlying
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Payment (per $1,000 principal amount note)
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First Review Date
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95.00
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$10.9167
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Second Review Date
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85.00
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$10.9167
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Third through Twentieth
Review Dates
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Less than Interest Barrier
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$0
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Final Review Date
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90.00
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$1,010.9167
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Total Payment
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$1,032.75 (3.275% return)
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Date
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Closing Value of Least
Performing Underlying
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Payment (per $1,000 principal amount note)
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First Review Date
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95.00
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$10.9167
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Second Review Date
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85.00
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$10.9167
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Third through Twentieth
Review Dates
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Less than Interest Barrier
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$0
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Final Review Date
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60.00
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$1,000.00
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Total Payment
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$1,021.8333 (2.18333% return)
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Date
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Closing Value of Least
Performing Underlying
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Payment (per $1,000 principal amount note)
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First Review Date
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55.00
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$0
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Second Review Date
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50.00
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$0
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Third through Twentieth
Review Dates
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Less than Interest Barrier
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$0
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Final Review Date
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40.00
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$400.00
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Total Payment
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$400.00 (-60.00% return)
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PS-4 | Structured Investments
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Callable Contingent Interest Notes Linked to the Least Performing of the
Russell 2000® Index, the S&P 500® Index and the SPDR® S&P® Regional
Banking ETF
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PS-5 | Structured Investments
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Callable Contingent Interest Notes Linked to the Least Performing of the
Russell 2000® Index, the S&P 500® Index and the SPDR® S&P® Regional
Banking ETF
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PS-6 | Structured Investments
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Callable Contingent Interest Notes Linked to the Least Performing of the
Russell 2000® Index, the S&P 500® Index and the SPDR® S&P® Regional
Banking ETF
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PS-7 | Structured Investments
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Callable Contingent Interest Notes Linked to the Least Performing of the
Russell 2000® Index, the S&P 500® Index and the SPDR® S&P® Regional
Banking ETF
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Historical Performance of the Russell 2000® Index
Source: Bloomberg
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Historical Performance of the S&P 500® Index
Source: Bloomberg
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PS-8 | Structured Investments
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Callable Contingent Interest Notes Linked to the Least Performing of the
Russell 2000® Index, the S&P 500® Index and the SPDR® S&P® Regional
Banking ETF
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Historical Performance of the SPDR® S&P® Regional Banking ETF
Source: Bloomberg
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PS-9 | Structured Investments
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Callable Contingent Interest Notes Linked to the Least Performing of the
Russell 2000® Index, the S&P 500® Index and the SPDR® S&P® Regional
Banking ETF
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PS-10 | Structured Investments
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Callable Contingent Interest Notes Linked to the Least Performing of the
Russell 2000® Index, the S&P 500® Index and the SPDR® S&P® Regional
Banking ETF
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PS-11 | Structured Investments
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Callable Contingent Interest Notes Linked to the Least Performing of the
Russell 2000® Index, the S&P 500® Index and the SPDR® S&P® Regional
Banking ETF
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